Hybrid Forecasting Scheme for Financial Time-Series Data using Neural Network and Statistical Methods
Journal Title: International Journal of Advanced Computer Science & Applications - Year 2017, Vol 8, Issue 9
Abstract
Currently, predicting time series utilizes as interesting research area for temporal mining aspects. Financial Time Series (FTS) delineated as one of the most challenging tasks, due to data characteristics is devoid of linearity, stationary, noisy, high degree of uncertainty and hidden relations. Several singles' models proposed using both statistical and data mining approaches powerless to deal with these issues. The main objective of this study to propose a hybrid model, using additive and linear regression methods to combine linear and non-linear models. However, three models are investigated namely ARIMA, EXP, and ANN. Firstly, those models are feeding by exchange rate data set (SDG-EURO). Then, the arithmetical outcome of each model examined as benchmark models and set of aforementioned hybrid models in related literature. Results showed the superiority in hybrid model on all other investigated models based on 0.82% MAPE error's measure for accuracy. Based on the results of this study, we can conclude that further experiments desirable to estimate the weights for accurate combination method and more models essential to be surveyed in the areas of series prediction.
Authors and Affiliations
Mergani Khairalla, Xu-Ning -, Nashat T. AL-Jallad
Keywords
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- EP ID EP261186
- DOI 10.14569/IJACSA.2017.080945
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